Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Variable Rate Senior Loan Interests ** 114.3% | ||||||||||||
Aerospace/Defense 1.1% | ||||||||||||
$ | 4,383 | Decrane Aircraft
Holdings, Inc., Term
Loan |
6.96% | 02/21/13 | $ | 3,747,145 | ||||||
2,241 | IAP Worldwide
Services, Inc., Term
Loan (a) |
9.06 | 12/30/12 | 1,501,659 | ||||||||
1,580 | Sequa Corp., Term Loan |
6.25 | 12/03/14 | 1,186,768 | ||||||||
3,000 | Wesco Aircraft
Hardware Corp., Term
Loan |
8.87 | 03/28/14 | 2,302,500 | ||||||||
8,738,072 | ||||||||||||
Automotive 3.1% |
||||||||||||
24,739 | Ford Motor Co., Term
Loan |
7.59 | 12/16/13 | 13,747,848 | ||||||||
4,564 | Metokote Corp., Term
Loan |
6.12 to 6.73 | 11/27/11 | 3,560,075 | ||||||||
1,333 | Navistar International
Corp., Revolving
Credit Agreement |
5.90 to 6.42 | 01/19/12 | 933,333 | ||||||||
3,667 | Navistar International
Corp., Term Loan |
6.42 | 01/19/12 | 2,566,667 | ||||||||
1,010 | Precision Partners, Inc.,
Term Loan |
9.78 | 08/26/13 | 817,895 | ||||||||
3,213 | Textron Fastening
Systems, Term Loan |
7.26 | 08/11/13 | 2,988,162 | ||||||||
24,613,980 | ||||||||||||
Banking 0.4% |
||||||||||||
3,980 | Dollar Financial Corp.,
Term Loan |
6.52 | 10/30/12 | 3,084,264 | ||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Beverage, Food & Tobacco 8.1% | ||||||||||||
$ | 9,979 | Birds Eye Foods
Investments, Inc.,
Term Loan (a) |
7.32% | 07/11/12 | $ | 7,234,450 | ||||||
4,784 | Coleman Natural Foods,
LLC, Term Loan |
7.39 to 7.50 | 08/22/12 | 3,779,367 | ||||||||
4,385 | Culligan International
Co., Term Loan |
6.02 | 11/24/12 | 2,685,616 | ||||||||
8,310 | Dole Food Co., Inc.,
Term Loan |
5.00 to 6.82 | 04/12/13 | 6,149,539 | ||||||||
10,000 | DSW Holdings, Inc.,
Term Loan |
7.00 | 03/07/12 | 7,600,000 | ||||||||
12,000 | Farleys & Sathers
Candy Co., Inc., Term
Loan |
10.86 to 11.12 | 12/16/10 | 10,260,000 | ||||||||
| 3,189 | Foodvest Ltd. AB, Term
Loan (Sweden) |
8.55 to 9.30 | 03/23/15 to 03/23/16 | 3,832,252 | |||||||
5,000 | FSB Holdings, Inc.,
Term Loan |
9.56 | 03/29/14 | 3,450,000 | ||||||||
| 1,977 | Iglo Birds Eye, Term
Loan (United
Kingdom) |
6.75 to 7.13 | 12/31/14 to 12/31/15 | 1,975,307 | |||||||
3,000 | LJVH Holdings, Inc., Term
Loan (Canada) |
9.26 | 01/19/15 | 2,475,000 | ||||||||
| 3,594 | Panrico, Inc., Term Loan
(Spain) |
7.27 to 7.64 | 05/31/14 to 05/31/15 | 2,909,093 | |||||||
15,249 | Pinnacle Foods Finance,
LLC, Term Loan |
6.68 to 6.80 | 04/02/14 | 11,436,632 | ||||||||
63,787,256 | ||||||||||||
Broadcasting Cable 4.5% | ||||||||||||
5,000 | Charter
Communications
Operating, LLC, Term
Loan |
6.26 | 09/06/14 | 3,266,665 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Broadcasting Cable (continued) | ||||||||||||
$ | 12,518 | CSC Holdings, Inc., Term
Loan |
3.49 to 3.82% | 02/24/12 | $ | 11,055,196 | ||||||
1,485 | CW Media Holdings,
Inc., Term Loan
(Canada) |
7.01 | 02/16/15 | 1,188,000 | ||||||||
| 17,600 | Kabel
Baden-Wuerttemburg,
Term Loan
(Germany) |
7.63 to 8.13 | 06/09/14 to 06/09/15 | 16,300,645 | |||||||
4,960 | Knology, Inc., Term
Loan |
6.40 | 06/30/12 | 3,595,890 | ||||||||
35,406,396 | ||||||||||||
Broadcasting Diversified 1.1% | ||||||||||||
7,875 | Alpha Topco Ltd., Term
Loan (United
Kingdom) |
5.37 to 6.63 | 12/31/13 to 06/30/14 | 5,295,375 | ||||||||
995 | Cumulus Media, Inc.,
Term Loan |
4.75 to 4.97 | 06/11/14 | 579,541 | ||||||||
3,567 | NEP II, Inc., Term Loan |
6.01 | 02/16/14 | 2,621,402 | ||||||||
8,496,318 | ||||||||||||
Broadcasting Radio 1.9% | ||||||||||||
1,877 | CMP KC, LLC, Term
Loan |
7.00 to 8.56 | 05/03/11 | 581,809 | ||||||||
5,098 | CMP Susquehanna
Corp., Term Loan |
5.00 to 5.25 | 05/05/13 | 2,293,978 | ||||||||
7,790 | Emmis Operating Co.,
Term Loan |
4.81 to 5.77 | 11/01/13 | 4,479,109 | ||||||||
1,901 | Multicultural Radio
Broadcasting, Inc.,
Term Loan |
6.80 | 12/18/12 | 1,463,963 | ||||||||
1,415 | Nextmedia Operating,
Inc., Term Loan |
7.26 to 10.17 | 11/15/12 | 969,615 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Broadcasting Radio (continued) | ||||||||||||
$ | 4,523 | Nextmedia Operating,
Inc., Term Loan (a) |
10.17% | 11/15/13 | $ | 2,872,044 | ||||||
3,964 | Spanish Broadcasting
Systems, Inc., Term
Loan |
5.52 | 06/11/12 | 1,838,340 | ||||||||
14,498,858 | ||||||||||||
Broadcasting Television 2.3% | ||||||||||||
3,000 | FoxCo Acquisition, LLC,
Term Loan |
7.25 | 07/14/15 | 2,370,000 | ||||||||
642 | High Plains
Broadcasting
Operating Co., LLC,
Term Loan |
8.21 | 09/14/16 | 384,337 | ||||||||
11,650 | NV
Broadcasting,
Term Loan |
5.82 to 9.32 | 11/01/13 to 11/01/14 | 6,248,250 | ||||||||
2,428 | Newport Television LLC,
Term Loan |
8.21 | 09/14/16 | 1,452,734 | ||||||||
12,470 | Univision
Communications, Inc.,
Term Loan |
5.25 to 5.50 | 03/29/09 to 09/29/14 | 7,390,263 | ||||||||
17,845,584 | ||||||||||||
Buildings & Real Estate 3.2% | ||||||||||||
2,000 | El Ad IDB Las Vegas,
LLC, Term Loan |
8.51 | 02/10/09 | 1,780,000 | ||||||||
7,479 | Ginn LA CS Borrower,
LLC, Term Loan (b) |
8.50 to 12.50 | 06/08/11 to 06/08/12 | 679,921 | ||||||||
414 | KAG Property, LLC,
Term Loan (g) |
6.00 | 09/23/09 | 414,097 | ||||||||
3,775 | Kuilima Resort Co.,
Term Loan (a) (b) (g) |
28.26 | 09/30/11 | 0 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real Estate (continued) | ||||||||||||
$ | 92 | Kuilima Resort Co.,
Term Loan (a)(b)(c)(g) |
28.26% | 10/01/08 | $ | 0 | ||||||
5,000 | Kyle Acquisition Group,
LLC, Term Loan (b) |
5.75 to 6.00 | 07/20/09 to 07/20/11 | 825,000 | ||||||||
19,199 | Lake at Las Vegas Joint
Venture, LLC, Term
Loan (a)(b)(d) |
12.62 to 16.10 | 08/20/09 to 06/20/12 | 4,627,923 | ||||||||
1,806 | Lake Las Vegas Resort,
Revolving Credit
Agreement (a)(b)(d) |
16.10 | 06/20/12 | 180,556 | ||||||||
218 | Landsource
Communities
Development, LLC,
Revolving Credit
Agreement (b)(d) |
9.50 | 05/31/09 | 215,060 | ||||||||
2,182 | Landsource
Communities
Development, LLC,
Term Loan (a)(b)(d) |
8.25 | 05/31/09 | 953,769 | ||||||||
3,000 | Metroflag BP, LLC,
Term Loan |
12.00 | 01/06/09 | 1,350,000 | ||||||||
2,000 | NLV
Holdings, LLC, Term
Loan |
11.37 | 05/30/12 | 300,000 | ||||||||
4,994 | Pivotal Promontory,
LLC, Term
Loan (b)(d) |
7.75 to 9.50 | 08/31/10 to 08/31/11 | 1,447,807 | ||||||||
1,344 | Realogy Corp., Term
Loan |
6.50 to 6.78 | 10/10/13 | 864,632 | ||||||||
3,926 | Re/Max International,
Inc., Term Loan |
6.50 to 8.01 | 12/17/12 | 3,140,444 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Buildings & Real Estate (continued) | ||||||||||||
$ | 4,525 | Rhodes Ranch General
Partnership, Term
Loan (a) |
11.26 to 12.51% | 11/21/10 to 11/21/11 | $ | 1,484,153 | ||||||
617 | Shea Capital I, LLC,
Term Loan |
5.25 | 10/27/11 | 308,709 | ||||||||
1,638 | Shea Mountain House,
LLC, Term Loan |
5.25 | 05/11/11 | 573,471 | ||||||||
2,000 | Standard Pacific Corp.,
Term Loan |
4.56 | 05/05/13 | 1,323,334 | ||||||||
2,496 | Tamarack Resorts, LLC,
Term Loan (b) |
8.05 to 8.25 | 05/19/11 | 1,185,705 | ||||||||
4,166 | WCI Communities, Inc,
Term Loan (d) |
8.97 | 12/23/10 | 3,110,262 | ||||||||
24,764,843 | ||||||||||||
Business Equipment & Services 2.7% | ||||||||||||
2,970 | GSI Holdings, LLC,
Term Loan |
5.81 | 08/01/14 | 2,182,950 | ||||||||
2,000 | HydroChem Industrial
Services, Inc., Term
Loan |
8.56 | 07/12/14 | 1,880,000 | ||||||||
3,924 | NCO Financial Systems,
Term Loan |
7.06 to 8.02 | 05/15/13 | 3,384,059 | ||||||||
6,873 | RGIS Services, LLC,
Term Loan |
5.31 to 5.62 | 04/30/14 | 4,719,326 | ||||||||
3,955 | SMG Holdings, Inc.,
Term Loan |
6.42 to 6.88 | 07/27/14 | 3,401,257 | ||||||||
7,753 | Nielsen Finance, LLC,
Term Loan |
4.80 | 08/09/13 | 5,652,056 | ||||||||
21,219,648 | ||||||||||||
Chemical, Plastics & Rubber 6.7% | ||||||||||||
5,802 | Arizona Chemical Co.,
Term Loan |
4.81 to 8.31 | 02/28/13 to 02/28/14 | 3,655,774 | ||||||||
| 10,757 | Borsodchem, Term
Loan (Hungary) |
7.66 to 8.16 | 11/28/14 to 11/28/15 | 10,017,024 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Chemical, Plastics & Rubber (continued) | ||||||||||||
5,000 | Brenntag Holdings,
GMBH & Co. KG,
Term Loan
(Germany) |
7.07% | 07/17/15 | $ | 3,225,000 | |||||||
4,914 | Fibervisions Delaware
Corp., Term Loan |
8.01 | 03/31/13 | 3,562,750 | ||||||||
2,305 | Foamex L.P., Term Loan |
6.25 to 8.07 | 02/12/13 | 1,065,927 | ||||||||
9,174 | Hexion Specialty
Chemicals, Inc., Term
Loan |
5.06 to 6.19 | 05/05/13 to 05/06/13 | 5,953,372 | ||||||||
1,250 | Lyondell Chemical Co.,
Revolving Credit
Agreement |
8.04 | 12/20/13 | 718,752 | ||||||||
4,146 | Lyondell Chemical Co.,
Term Loan |
8.04 | 12/20/14 | 2,508,229 | ||||||||
| 10,572 | Momentive
Performance, Term
Loan |
6.75 | 12/14/13 | 9,589,692 | |||||||
4,988 | PQ Corp., Term Loan |
6.72 to 7.02 | 07/30/14 | 3,447,609 | ||||||||
4,962 | Univar, Inc., Term Loan |
6.76 | 10/10/14 | 3,479,953 | ||||||||
13,827 | Wellman, Inc., Term
Loan (b)(d) |
7.24 to 9.99 | 02/10/09 to 02/10/10 | 5,031,830 | ||||||||
52,255,912 | ||||||||||||
Construction Material 1.8% | ||||||||||||
1,861 | Axia, Inc., Term Loan (h) |
5.77 | 12/21/12 | 976,956 | ||||||||
4,080 | Axia, Inc., Term Loan (a) (h) |
18.22 | 12/21/12 | 2,550,126 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Construction Material (continued) | ||||||||||||
$ | 2,443 | Beacon Sales
Acquisition, Inc., Term
Loan |
5.77 to 6.05% | 09/30/13 | $ | 1,831,922 | ||||||
4,815 | Building Materials Corp.
of America, Term
Loan |
6.50 to 9.00 | 02/24/14 to 09/15/14 | 2,833,192 | ||||||||
2,835 | Building Materials
Holding, Corp., Term
Loan |
7.25 to 9.01 | 11/10/11 | 1,559,008 | ||||||||
3,859 | Contech Construction
Products, Inc., Term
Loan |
5.00 | 01/31/13 | 2,575,673 | ||||||||
2,000 | Custom Building
Products, Inc., Term
Loan |
8.50 | 04/20/12 | 1,400,000 | ||||||||
964 | United Subcontractors,
Inc., Term Loan |
7.10 to 8.14 | 12/27/12 | 530,029 | ||||||||
14,256,906 | ||||||||||||
Containers, Packaging & Glass 2.9% | ||||||||||||
3,048 | Anchor Glass Container
Corp., Term Loan |
7.50 to 7.96 | 06/20/14 | 2,582,857 | ||||||||
8,957 | Berlin Packaging, LLC,
Term Loan |
5.81 to 9.31 | 08/17/14 to 08/17/15 | 7,119,290 | ||||||||
4,510 | Berry Plastics Group,
Inc., Term Loan (a) |
11.33 | 06/05/14 | 2,480,576 | ||||||||
1,593 | Berry Plastics Group,
Inc., Term Loan |
4.80 | 04/03/15 | 1,172,935 | ||||||||
5,970 | Consolidated Container
Co., LLC, Term Loan |
5.25 to 9.26 | 03/28/14 to 09/28/14 | 2,969,157 | ||||||||
2,388 | Graphic Packaging
International, Inc.,
Revolving Credit
Agreement |
5.25 to 6.84 | 05/16/13 | 1,742,875 | ||||||||
2,480 | Solo Cup, Co., Term
Loan |
6.31 to 7.43 | 02/27/11 | 2,155,584 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Containers, Packaging & Glass (continued) | ||||||||||||
$ | 2,962 | Unifrax Corp., Term
Loan |
5.38% | 05/02/13 | $ | 2,414,051 | ||||||
22,637,325 | ||||||||||||
Diversified Manufacturing 0.4% | ||||||||||||
6,794 | Euramax International,
Inc., Term Loan |
7.50 to 11.00 | 06/29/12 to 06/29/13 | 3,426,832 | ||||||||
Ecological 0.6% | ||||||||||||
10,250 | Synagro Technologies,
Inc., Term Loan |
7.56 | 10/02/14 | 4,663,750 | ||||||||
Education & Child Care 1.0% | ||||||||||||
2,993 | Bright Horizons Family
Solutions, Term
Loan |
7.00 to 7.50 | 05/28/15 | 2,384,026 | ||||||||
500 | Educate, Inc.,
Term Loan |
9.08 | 06/14/14 | 350,000 | ||||||||
1,990 | Education Management
Corp., Term Loan |
5.56 | 06/01/13 | 1,402,682 | ||||||||
5,000 | Nelson Education Ltd.,
Term Loan (Canada) |
9.76 | 07/05/15 | 3,875,000 | ||||||||
8,011,708 | ||||||||||||
Electronics 4.2% | ||||||||||||
2,954 | Ax Acquisition Corp,
Term Loan |
6.56 | 08/15/14 | 2,222,831 | ||||||||
4,000 | Dealer Computer
Services, Inc., Term
Loan |
8.67 | 10/26/13 | 2,380,000 | ||||||||
9,260 | Edwards (Cayman
Islands II) Ltd, Term
Loan |
4.81 to 8.56 | 05/31/14 to 11/30/14 | 5,776,665 | ||||||||
2,970 | Infor Enterprise
Solutions Holdings,
Inc., Term Loan |
7.52 | 07/28/12 | 1,878,334 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Electronics (continued) | ||||||||||||
$ | 5,941 | Kronos, Inc., Term Loan |
6.01 to 9.51% | 06/11/14 to 06/11/15 | $ | 4,144,634 | ||||||
7,900 | Open Solutions, Inc.,
Term Loan |
5.96 | 01/23/14 | 4,344,872 | ||||||||
4,930 | Stratus Technologies,
Inc., Term Loan |
7.52 | 03/29/11 | 3,598,606 | ||||||||
4,962 | Sungard Data Systems,
Inc., Term Loan |
4.55 | 02/28/14 | 3,824,376 | ||||||||
5,377 | Verint Systems, Inc.,
Term Loan |
6.25 | 05/25/14 | 3,898,146 | ||||||||
1,324 | X-Rite, Inc., Term Loan |
8.12 to 9.00 | 10/24/12 | 1,142,022 | ||||||||
33,210,486 | ||||||||||||
Entertainment & Leisure 4.4% | ||||||||||||
4,950 | Bushnell, Inc., Term
Loan |
7.51 | 08/24/13 | 3,910,500 | ||||||||
3,562 | Fender Musical
Instruments Corp.,
Term Loan |
5.17 to 6.02 | 06/09/14 | 2,226,050 | ||||||||
44,812 | Metro-Goldwyn-Mayer
Studios, Inc., Term
Loan (e) |
7.01 | 04/08/12 to 04/09/12 | 22,181,846 | ||||||||
4,937 | Panavision, Inc., Term
Loan |
6.31 to 7.03 | 03/30/11 | 4,072,919 | ||||||||
2,478 | True Temper Sports,
Inc., Term Loan |
6.03 to 6.46 | 03/15/11 | 1,933,160 | ||||||||
34,324,475 | ||||||||||||
Farming & Agriculture 0.5% | ||||||||||||
5,000 | Wm. Bolthouse Farms,
Inc., Term Loan |
9.26 | 12/16/13 | 3,800,000 | ||||||||
Finance 4.5% | ||||||||||||
4,302 | C.G. JCF Corp., Term
Loan |
6.12 | 08/01/14 | 3,204,856 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Finance (continued) | ||||||||||||
| 14,850 | First Data Corp., Term
Loan |
7.78 to 7.89% | 09/28/14 | $ | 13,154,306 | ||||||
393 | First Data Corp., Term
Loan |
5.95 to 6.51 | 09/24/14 | 290,149 | ||||||||
6,272 | National Processing
Company Group,
Term Loan |
7.10 to 10.71 | 09/29/12 to 09/29/14 | 4,510,410 | ||||||||
3,317 | Nuveen Investments,
Inc., Term Loan |
6.12 to 6.77 | 11/13/14 | 1,912,612 | ||||||||
5,136 | Oxford Acq. III Ltd.,
Term Loan (United
Kingdom) |
5.58 | 05/12/14 | 3,244,471 | ||||||||
9,950 | RJO Holdings Corp.,
Term Loan |
6.00 to 9.75 | 07/12/14 to 07/12/15 | 4,709,375 | ||||||||
5,463 | Transfirst Holdings, Inc.,
Term Loan |
6.52 to 9.77 | 06/15/14 to 06/15/15 | 4,072,344 | ||||||||
35,098,523 | ||||||||||||
Health & Beauty 1.2% | ||||||||||||
5,081 | American Safety Razor
Co., Term Loan |
9.37 to 9.47 | 01/30/14 | 4,242,339 | ||||||||
7,202 | Marietta Intermediate
Holdings, Term
Loan (a) |
8.00 to 12.00 | 11/30/10 to 12/17/11 | 1,261,221 | ||||||||
4,938 | Philosophy, Inc., Term
Loan |
5.12 | 03/16/14 | 3,406,875 | ||||||||
8,910,435 | ||||||||||||
Healthcare 5.4% | ||||||||||||
534 | Community Health
Systems, Inc., Term
Loan |
5.06 to 5.97 | 07/25/14 | 429,270 | ||||||||
4,054 | Concentra, Inc., Term
Loan |
6.02 to 9.27 | 06/25/14 to 06/25/15 | 1,761,621 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Healthcare (continued) | ||||||||||||
$ | 1,985 | FHC Health Systems,
Term Loan |
8.76% | 12/13/13 | $ | 1,786,500 | ||||||
7,437 | HCA, Inc., Term Loan |
6.01 | 11/18/13 | 6,156,126 | ||||||||
14,780 | HCR Healthcare, LLC,
Term Loan |
5.50 to 5.72 | 12/22/14 | 9,939,802 | ||||||||
4,559 | Health Management
Associates, Inc., Term
Loan |
5.51 | 02/28/14 | 3,214,164 | ||||||||
1,708 | HealthCare Partners,
LLC, Term Loan |
5.51 | 10/31/13 | 1,447,726 | ||||||||
9,462 | Inverness Medical
Innovations, Inc.,
Term Loan |
4.50 to 5.50 | 06/26/14 to 06/26/15 | 6,737,312 | ||||||||
2,200 | Surgical Care Affiliates,
LLC, Revolving Credit
Agreement |
5.00 to 5.76 | 06/29/13 | 1,298,000 | ||||||||
5,947 | Surgical Care Affiliates,
LLC, Term Loan |
5.76 | 12/29/14 | 3,865,801 | ||||||||
3,976 | United Surgical Partners
International, Inc.,
Term Loan |
4.94 to 6.19 | 04/19/14 | 2,723,687 | ||||||||
4,942 | Viant Holdings, Inc.,
Term Loan |
6.02 | 06/25/14 | 2,940,758 | ||||||||
42,300,767 | ||||||||||||
Home & Office Furnishings, Housewares & Durable Consumer Products 1.5% | ||||||||||||
8,801 | Hunter Fan Co., Term
Loan |
5.31 to 9.56 | 04/16/14 to 10/16/14 | 4,691,173 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Home & Office Furnishings, Housewares & Durable Consumer Products (continued) | ||||||||||||
$ | 4,938 | Mattress Holdings,
Corp., Term Loan |
5.43% | 01/18/14 | $ | 2,777,344 | ||||||
4,000 | National Bedding Co.,
LLC, Term Loan |
8.40 | 02/28/14 | 2,520,000 | ||||||||
2,539 | Quality Home Brands
Holdings, LLC, Term
Loan |
7.98 | 12/20/12 | 1,650,173 | ||||||||
11,638,690 | ||||||||||||
Hotels, Motels, Inns & Gaming 9.6% | ||||||||||||
10,467 | Cannery Casino
Resorts, LLC, Term
Loan |
5.05 to 7.06 | 05/18/13 to 05/18/14 | 9,568,946 | ||||||||
£ | 2,419 | Gala Group Ltd., Term
Loan (United
Kingdom) |
7.58 | 10/07/12 | 2,288,834 | |||||||
10,000 | Gateway Casinos &
Entertainment, Term
Loan |
9.55 | 03/31/15 | 4,933,330 | ||||||||
4,758 | Golden Nugget, Inc.,
Term Loan |
5.22 to 6.51 | 06/30/14 to 12/31/14 | 1,948,485 | ||||||||
842 | Greektown Casino, LLC,
Term Loan (d) |
7.75 | 12/03/12 | 678,117 | ||||||||
4,966 | Greektown Holdings,
LLC, Term Loan |
9.25 | 06/01/09 | 4,767,355 | ||||||||
4,990 | Green Valley Ranch
Gaming, LLC, Term
Loan |
4.75 to 6.00 | 02/16/14 to 08/16/14 | 2,262,257 | ||||||||
4,575 | Harrahs Operating Co.,
Inc., Term Loan |
6.54 to 6.76 | 01/28/15 | 3,148,258 | ||||||||
8,700 | Magnolia Hill, LLC,
Term Loan |
6.37 to 14.00 | 10/30/13 to 04/24/14 | 8,143,000 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Hotels, Motels, Inns & Gaming (continued) | ||||||||||||
$ | 2,311 | Penn National Gaming,
Inc., Term Loan |
4.55 to 5.29% | 10/03/12 | $ | 1,932,476 | ||||||
| 22,500 | Regency Entertainment,
Term Loan (Greece) |
7.03 to 7.40 | 03/02/14 to 03/02/15 | 21,030,056 | |||||||
7,497 | Wembley, Inc., Term
Loan (a) |
7.06 to 8.30 | 08/23/11 to 07/18/12 | 1,783,370 | ||||||||
6,667 | Wynn Resorts, Term
Loan |
5.47 to 6.77 | 06/21/10 | 5,916,667 | ||||||||
7,509 | Yonkers Racing Corp.,
Term Loan |
10.69 | 08/12/11 | 6,570,185 | ||||||||
74,971,336 | ||||||||||||
Insurance 3.0% | ||||||||||||
5,610 | Alliant Holdings I, Inc.,
Term Loan |
6.76 | 11/01/14 | 3,870,900 | ||||||||
7,406 | AmWins Group, Inc,
Term Loan |
5.31 to 5.50 | 06/08/13 | 5,406,562 | ||||||||
3,061 | Conseco, Inc., Term
Loan |
5.00 | 10/10/13 | 2,027,957 | ||||||||
6,462 | HMSC Holdings, Corp.,
Term Loan |
5.25 to 8.50 | 04/03/14 to 10/03/14 | 2,719,643 | ||||||||
5,860 | Mitchell International,
Inc., Term Loan |
9.06 | 03/30/15 | 4,746,600 | ||||||||
5,995 | Vertafore, Inc., Term
Loan |
7.06 to 8.81 | 01/31/12 to 01/31/13 | 4,495,600 | ||||||||
23,267,262 | ||||||||||||
Machinery 1.1% | ||||||||||||
5,790 | Goodman Global, Inc.,
Term Loan |
7.71 | 02/13/14 | 4,733,325 | ||||||||
3,960 | Mold-Masters
Luxembourg Holdings,
SA, Term Loan |
7.63 | 10/11/14 | 3,603,600 | ||||||||
8,336,925 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Medical Products & Services 0.8% | ||||||||||||
$ | 2,000 | AGA Medical Corp.,
Term Loan |
4.69 to 5.10% | 04/28/13 | $ | 1,620,000 | ||||||
1,860 | Biomet, Inc., Term Loan |
6.76 | 03/25/15 | 1,623,556 | ||||||||
1,868 | Carestream Health, Inc.,
Term Loan |
5.42 to 5.76 | 04/30/13 | 1,229,470 | ||||||||
3,000 | VWR Funding, Inc.,
Term Loan |
5.67 | 06/29/14 | 2,094,999 | ||||||||
6,568,025 | ||||||||||||
Mining, Steel, Iron & Non-Precious Metals 0.7% | ||||||||||||
7,391 | John Maneely Co., Term
Loan |
6.05 to 8.00 | 12/09/13 | 5,450,784 | ||||||||
Natural Resources 0.9% | ||||||||||||
3,200 | CDX Funding, LLC,
Term Loan (b) |
12.25 | 03/31/13 | 2,336,000 | ||||||||
3,000 | Dresser, Inc., Term
Loan |
8.56 | 05/04/15 | 1,854,999 | ||||||||
1,000 | Hudson Products
Holdings, Inc., Term
Loan |
8.00 | 08/24/15 | 865,000 | ||||||||
2,992 | Western Refining, Inc.,
LP, Term Loan |
9.25 | 05/30/14 | 2,259,280 | ||||||||
7,315,279 | ||||||||||||
Non-Durable Consumer Products 5.7% | ||||||||||||
6,703 | Amscan Holdings, Inc.,
Term Loan |
5.06 to 5.49 | 05/25/13 | 5,027,203 | ||||||||
5,963 | Huish Detergents, Inc.,
Term Loan |
5.77 to 8.02 | 04/26/14 to 10/26/14 | 4,620,000 | ||||||||
8,376 | KIK Custom Products,
Inc., Term Loan |
5.80 to 8.54 | 05/31/14 to 11/30/14 | 3,148,514 | ||||||||
2,969 | Mega Brands, Inc.,
Term Loan (Canada) |
8.75 | 07/26/12 | 1,707,375 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Non-Durable Consumer Products (continued) | ||||||||||||
$ | 988 | Nice Pak Products, Inc.,
Term Loan |
6.13% | 06/18/14 | $ | 760,375 | ||||||
| 17,879 | Ontex, Term Loan
(Belgium) |
8.79 to 9.29 | 08/08/12 to 08/08/13 | 18,685,667 | |||||||
509 | Spectrum Brands, Inc.,
Revolving Credit
Agreement |
7.72 | 03/30/13 | 349,538 | ||||||||
9,947 | Spectrum Brands, Inc.,
Term Loan |
6.68 to 8.32 | 03/30/13 | 6,826,182 | ||||||||
5,000 | Targus Group
International, Inc.,
Term Loan (g) |
11.35 | 05/22/13 | 2,375,000 | ||||||||
1,980 | Wilton Products, Inc.,
Term Loan |
6.06 to 6.37 | 08/01/14 | 999,900 | ||||||||
44,499,754 | ||||||||||||
Paper & Forest Products 1.6% | ||||||||||||
3,200 | Ainsworth Lumber Co.,
Ltd., Term Loan |
8.25 | 06/26/14 | 2,304,000 | ||||||||
7,444 | New Page, Term Loan |
7.00 | 12/19/14 | 6,077,293 | ||||||||
1,978 | SP Newsprint, Term
Loan |
11.00 | 03/31/10 | 1,799,778 | ||||||||
373 | Verso Paper Holdings,
LLC, Term Loan |
10.01 | 08/01/13 | 224,005 | ||||||||
3,453 | White Birch Paper Co.,
Term Loan (Canada) |
6.52 | 05/08/14 | 2,295,937 | ||||||||
12,701,013 | ||||||||||||
Pharmaceuticals 0.2% | ||||||||||||
2,000 | Generics International,
Inc., Term Loan |
11.26 | 04/30/15 | 1,530,000 | ||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Printing & Publishing 11.1% | ||||||||||||
$ | 9,769 | American Media
Operations, Inc., Term
Loan |
7.56% | 01/31/13 | $ | 6,569,892 | ||||||
1,823 | Ascend Media Holdings,
LLC, Term Loan |
8.82 to 9.77 | 01/31/12 | 911,745 | ||||||||
1,169 | Canon Communications,
LLC, Term Loan |
6.50 | 05/31/11 | 1,022,627 | ||||||||
993 | DRI Holdings, Inc.,
Term Loan |
6.52 to 6.63 | 07/03/14 | 695,409 | ||||||||
4,000 | Endurance Business
Media, Term Loan (g) |
10.00 | 01/26/14 | 2,350,000 | ||||||||
4,963 | FSC Acquisition, LLC,
Term Loan |
5.25 | 03/08/14 | 2,642,531 | ||||||||
4,123 | Gatehouse Media, Inc,
Term Loan |
4.81 to 5.00 | 08/28/14 | 1,016,960 | ||||||||
10,000 | Idearc, Inc., Term Loan |
4.62 | 11/17/13 | 4,550,000 | ||||||||
3,454 | Intermedia Outdoor,
Inc., Term Loan |
6.76 | 01/31/13 | 2,788,781 | ||||||||
5,745 | MediaNews Group, Inc.,
Term Loan |
5.82 to 7.07 | 12/30/10 to 08/02/13 | 3,069,137 | ||||||||
9,870 | Merrill Communications,
LLC, Term Loan |
10.22 | 11/15/13 | 4,194,750 | ||||||||
2,333 | Newsday, LLC, Term
Loan |
9.01 | 08/01/13 | 1,960,000 | ||||||||
5,954 | Penton Media, Inc.,
Term Loan |
5.37 to 8.42 | 02/01/13 to 02/01/14 | 3,161,840 | ||||||||
| 12,133 | Primacom, Term Loan
(Germany) (g) |
8.14 to 9.39 | 12/20/14 to 12/20/16 | 15,464,153 | |||||||
4,466 | Primedia, Inc., Term
Loan |
5.42 to 6.01 | 08/01/14 | 3,673,491 | ||||||||
| 13,000 | Prosiebensat.1 Media
AG, Term Loan
(Germany) |
6.85 | 07/03/15 | 8,933,972 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Printing & Publishing (continued) | ||||||||||||
$ | 3,144 | R.H. Donnelley, Inc.,
Term Loan |
6.75 to 7.52% | 06/30/11 | $ | 2,024,790 | ||||||
3,686 | Thomas Nelson,
Inc.,Term Loan |
8.50 | 06/12/12 | 2,967,235 | ||||||||
3,191 | Thomson Medical
Education, Term
Loan |
6.06 to 9.81 | 04/14/14 to 04/13/15 | 2,762,626 | ||||||||
16,000 | Tribune Co., Bridge
Loan (e) (l) |
9.00 | 12/20/15 | 1,920,000 | ||||||||
32,045 | Tribune Co., Term Loan
(l) |
6.00 | 05/19/14 | 14,740,568 | ||||||||
87,420,507 | ||||||||||||
Restaurants & Food Service 0.9% | ||||||||||||
1,367 | Advantage Sales &
Marketing, Inc., Term
Loan |
5.50 to 5.77 | 03/29/13 | 959,986 | ||||||||
1,580 | Center Cut Hospitality,
Inc., Term Loan |
5.32 | 07/06/14 | 1,169,200 | ||||||||
911 | Sagittarius Restaurants,
LLC, Term Loan |
9.50 | 03/29/13 | 441,797 | ||||||||
4,521 | Volume Services
America, Inc., Term
Loan |
7.50 | 10/01/10 | 4,226,912 | ||||||||
6,797,895 | ||||||||||||
Retail Oil & Gas 0.9% | ||||||||||||
9,409 | Pantry, Inc. (The), Term
Loan |
4.87 | 05/15/14 | 6,680,139 | ||||||||
Retail Specialty 2.1% | ||||||||||||
| 7,796 | Travelport, Term Loan |
7.39 | 08/23/13 | 6,259,664 | |||||||
| 8,500 | Zapf, Term Loan
(Germany) (g) |
8.08 | 11/30/12 | 9,966,976 | |||||||
16,226,640 | ||||||||||||
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Retail Stores 3.0% | ||||||||||||
$ | 6,093 | Dollar General Corp,
Term Loan |
5.75 to 6.51% | 07/06/14 | $ | 4,816,310 | ||||||
8,890 | General Nutrition
Centers, Inc., Term
Loan |
6.01 to 6.30 | 09/16/13 | 6,163,595 | ||||||||
13,500 | Guitar Center, Inc.,
Term Loan |
6.72 | 10/09/14 | 8,437,500 | ||||||||
2,000 | Neiman Marcus Group,
Inc., Term Loan |
4.57 | 04/06/13 | 1,520,626 | ||||||||
2,000 | Rite Aid Corp., Term
Loan |
6.00 | 06/04/14 | 1,580,000 | ||||||||
1,065 | Sally Holdings, Inc.,
Term Loan |
5.06 to 5.47 | 11/16/13 | 835,579 | ||||||||
23,353,610 | ||||||||||||
Telecommunications Equipment & Services 2.6% | ||||||||||||
| 10,000 | Fibernet, Term Loan
(Bulgaria) |
7.58 to 8.08 | 08/31/15 to 08/31/16 | 10,515,033 | |||||||
| 11,387 | Orion, Term Loan
(Germany) |
7.37 to 8.41 | 10/31/13 to 10/31/15 | 9,553,233 | |||||||
20,068,266 | ||||||||||||
Telecommunications Local Exchange Carriers 1.4% | ||||||||||||
8,083 | Global Tel*Link Corp.,
Term Loan |
6.62 to 7.26 | 02/14/13 | 7,840,326 | ||||||||
3,156 | Hawaiian Telcom
Communications, Inc.,
Term Loan |
6.26 | 06/01/14 | 1,720,121 | ||||||||
282 | NuVox Transition
Subsidiary, LLC, Term
Loan |
6.07 | 05/31/14 | 223,093 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Telecommunications Local Exchange Carriers (continued) | ||||||||||||
$ | 1,400 | Sorenson
Communications, Inc.,
Term Loan |
5.70% | 04/28/14 | $ | 1,199,121 | ||||||
10,982,661 | ||||||||||||
Telecommunications Wireless 1.4% | ||||||||||||
3,950 | Alltel Communications,
Inc., Term Loan |
5.50 | 05/15/15 | 3,780,941 | ||||||||
3,410 | Asurion Corp., Term
Loan |
5.80 to 7.09 | 07/03/14 | 2,552,075 | ||||||||
5,511 | MetroPCS Wireless,
Inc., Term Loan |
5.06 to 5.38 | 11/03/13 | 4,575,583 | ||||||||
10,908,599 | ||||||||||||
Textiles & Leather 0.7% | ||||||||||||
3,485 | Gold Toe Investment
Corp., Term Loan |
8.50 to 11.75 | 10/30/13 to 04/30/14 | 2,155,479 | ||||||||
5,000 | Levi Strauss & Co.,
Term Loan |
6.76 | 03/27/14 | 3,581,250 | ||||||||
5,736,729 | ||||||||||||
Transportation Cargo 0.6% | ||||||||||||
9,000 | JHCI Acquisitions, Inc.,
Term Loan |
8.62 | 12/19/14 | 4,507,497 | ||||||||
Transportation Personal 0.4% | ||||||||||||
3,926 | Coach America
Holdings, Inc., Term
Loan |
6.23 to 6.63 | 04/20/14 | 2,787,609 | ||||||||
Utilities 2.5% | ||||||||||||
5,000 | Bicent Power, LLC, Term
Loan |
7.77 | 12/31/14 | 3,875,000 | ||||||||
4,853 | First Light Power
Resources, Inc., Term
Loan |
5.75 to 7.71 | 11/01/13 to 05/01/14 | 3,781,607 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Utilities (continued) | ||||||||||||
$ | 1,995 | Mach Gen, LLC, Term
Loan |
4.81 to 5.76% | 02/22/13 to 02/22/14 | $ | 1,855,722 | ||||||
864 | NRG Energy, Inc., Term
Loan |
5.26 | 02/01/13 | 752,224 | ||||||||
7,095 | Texas Competitive
Electric Holdings Co.,
LLC, Term Loan |
6.30 to 7.64 | 10/14/14 | 5,565,428 | ||||||||
6,000 | TPF Generation
Holdings, LLC, Term
Loan |
8.01 | 12/15/14 | 4,095,000 | ||||||||
19,924,981 | ||||||||||||
Total Variable Rate Senior Loan Interests ** 114.3% | 897,026,539 | |||||||||||
Notes ** 25.5% | ||||||||||||
Broadcasting Cable 3.0% | ||||||||||||
5,000 | Kabel Deutschland
(Germany) |
10.63 | 07/01/14 | 4,225,000 | ||||||||
| 18,500 | Kabel Deutschland
(Germany) (f) |
10.75 | 07/01/14 | 19,688,602 | |||||||
23,913,602 | ||||||||||||
Buildings & Real Estate 2.8% | ||||||||||||
| 16,865 | Eco-bat Finance PLC
(United Kingdom) (f) |
10.13 | 01/31/13 | 18,163,508 | |||||||
| 5,000 | Grohe Holding GmbH
(Germany) (i) |
8.19 | 01/15/14 | 3,536,875 | |||||||
21,700,383 | ||||||||||||
Chemical, Plastics & Rubber 0.4% | ||||||||||||
5,000 | Cognis GmbH
(Germany) (f) (i) |
4.82 | 09/15/13 | 2,875,000 | ||||||||
Construction Material 0.1% | ||||||||||||
2,000 | Compression Polymers
Corp. (f) (i) |
9.90 | 07/01/12 | 1,290,000 | ||||||||
Containers, Packaging & Glass 4.8% | ||||||||||||
| 14,900 | Ardagh Glass Finance
BV (Ireland) (f) |
8.88 | 07/01/13 | 12,154,103 |
Principal | ||||||||||||
Amount | Stated | |||||||||||
(000) | Borrower | Coupon | Maturity * | Value | ||||||||
Containers, Packaging & Glass (continued) | ||||||||||||
| 14,200 | Ardagh Glass Finance
(Ireland) (f) |
7.13% | 06/15/17 | $ | 9,804,012 | ||||||
| 15,725 | Pregis Corp. (i) |
10.30 | 04/15/13 | 15,482,669 | |||||||
37,440,784 | ||||||||||||
Mining, Steel, Iron & Non-Precious Metals 2.1% | ||||||||||||
24,500 | FMG Finance Pty Ltd
(Australia) (f) |
10.63 | 09/01/16 | 16,905,000 | ||||||||
Telecommunications Equipment & Services 4.7% | ||||||||||||
| 15,825 | Magyar Telecom (Invtel)
(Netherlands) (f) |
10.75 | 08/15/12 | 17,119,071 | |||||||
| 26,000 | Versatel AG (Germany)
(f) (i) |
7.71 | 06/15/14 | 19,717,279 | |||||||
36,836,350 | ||||||||||||
Telecommunications Wireless 3.2% | ||||||||||||
13,000 | Wind Acquisition Fin SA
(Italy) (f) |
10.75 | 12/01/15 | 12,592,548 | ||||||||
| 16,000 | Wind Acquisition Fin SA
(Italy) (f) |
9.75 | 12/01/15 | 12,400,000 | |||||||
24,992,548 | ||||||||||||
Transportation Cargo 4.4% | ||||||||||||
| 29,950 | CB Bus AB (Sweden) (g) |
9.13 | 08/01/09 | 34,355,480 | |||||||
Total Notes 25.5% | 200,309,147 | |||||||||||
Equities 0.0% | ||||||||||||
Axia, Inc. (Warrants for 6,352 common shares, Expiration date 12/31/18, Acquired 9/24/08, Cost $0) (g) (h) (k) | 0 | |||||||||||
Building Materials Holding Corp. (Warrants for 15,357 common shares,
Expiration date 09/30/15, Acquired 10/09/08, Cost $0) |
0 | |||||||||||
Total Equities 0.0% | 0 | |||||||||||
Total Long-Term Investments 139.8% (Cost $1,650,951,446) |
1,097,335,686 | |||||||||||
Short-Term Investments | ||||||||||||
Time Deposit 1.6% | ||||||||||||
State Street Bank & Trust Corp. ($12,672,952 par, 0.10%
coupon, dated 10/31/08, to be sold on 11/03/08 at $12,673,058) (e) |
12,672,952 | |||||||||||
Total Short-Term Investments 1.6% (Cost $12,672,952) |
12,672,952 | |||||||||||
Total Investments 141.4% (Cost $1,663,624,398) |
1,110,008,638 | |||||||||||
Foreign Currency 0.1% (Cost $544,897) |
521,502 | |||||||||||
Borrowings (47.2%) | (370,000,000 | ) | ||||||||||
Other Assets in Excess of Liabilities 5.7% | 44,417,803 | |||||||||||
Net Assets 100.0% | $ | 784,947,943 | ||||||||||
(a) | All or a portion of this security is payment-in-kind. | |
(b) | This Senior Loan interest is non-income producing. | |
(c) | The borrower is in the process of restructuring or amending the terms of this loan. | |
(d) | This borrower has filed for protection in federal bankruptcy court. | |
(e) | All or a portion of this security is designated in connection with unfunded loan commitments. | |
(f) | 144A-Private Placement security which is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers. | |
(g) | Market value is determined in accordance with procedures established in good faith by the Board of Trustees. | |
(h) | Affiliated company. | |
(i) | Variable rate security. Interest rate shown is that in effect at October 31, 2008. | |
(k) | Restricted security. Securities were acquired through the restructuring of senior loans. These securities are restricted, as they are not allowed to be deposited via the Depository Trust Company. If at a later point in time, the company wishes to register, the issuer will bear the costs associated with registration. The aggregate value of restricted securities represents 0.01% of the net assets of the Fund. | |
(l) | Subsequent to October 31, 2008, this borrower has filed for protection in federal bankruptcy court. | |
* | Senior Loans in the Funds portfolio generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans in the Funds portfolio may occur. As a result, the actual remaining maturity of Senior Loans held in the Funds portfolio may be substantially less than the stated maturities shown. Although the Fund is unable to accurately estimate the actual remaining maturity of individual Senior Loans, the Fund estimates that the actual average maturity of the Senior Loans held in its portfolio will be approximately 18-24 months. | |
** | Senior Loans in which the Fund invests generally pay interest at rates, which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks or (iii) the certificate of deposit rate. Senior Loans are generally considered to be restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
Pay/ | ||||||||||||||||||||
Receive | Notional | |||||||||||||||||||
Buy/Sell | Fixed | Expiration | Amount | Upfront | ||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | (000) | Payments | Value | |||||||||||||
Bank of America N.A. |
Cognis GMBH | Sell | 3.90% | 12/20/09 | | 5,000 | 0 | $ | (267,170 | ) | ||||||||||
Bank of
America N.A. |
Seat Pagine Gialle S.P.A. | Sell | 3.35 | 09/20/12 | | 5,000 | 0 | (1,531,432 | ) | |||||||||||
Bank of
America N.A. |
Seat Pagine Gialle S.P.A. | Sell | 3.65 | 12/20/12 | | 5,000 | 0 | (1,531,764 | ) | |||||||||||
Citigroup Global
Markets Limited |
Basell AF S.C.A | Sell | 4.05 | 12/20/09 | | 5,000 | 0 | (607,510 | ) | |||||||||||
Citigroup Global
Markets Limited |
M-Real Oyj | Sell | 4.25 | 12/20/09 | | 5,000 | 0 | (974,360 | ) | |||||||||||
Credit Suisse
International |
Codere Fin Luxembourg S.A. | Sell | 3.42 | 09/20/12 | | 5,000 | 0 | (1,724,599 | ) | |||||||||||
Deutsche Bank |
M-Real Oyj | Sell | 4.15 | 12/20/09 | | 5,000 | 0 | (981,067 | ) | |||||||||||
Goldman Sachs
International |
Boston Generating, LLC | Sell | 2.00 | 06/20/09 | 4,000 | 0 | (165,120 | ) |
Pay/ | ||||||||||||||||||||
Receive | Notional | |||||||||||||||||||
Buy/Sell | Fixed | Expiration | Amount | Upfront | ||||||||||||||||
Counterparty | Reference Entity | Protection | Rate | Date | (000) | Payments | Value | |||||||||||||
Goldman Sachs
International |
CDX.NA.HY.9 | Sell | 3.75 | 12/20/12 | 19,800 | (778,615 | ) | (3,329,492 | ) | |||||||||||
Goldman Sachs
International |
CDX.NA.HY.10 | Sell | 5.00 | 06/20/13 | 20,000 | (1,046,875 | ) | (3,018,347 | ) | |||||||||||
Goldman Sachs
International |
Citgo Petroleum Corp. | Sell | 3.00 | 12/20/10 | 5,000 | 0 | (79,716 | ) | ||||||||||||
Goldman Sachs
International |
Gala Group Finance | Sell | 3.45 | 12/20/12 | | 5,000 | 0 | (1,057,201 | ) | |||||||||||
Goldman Sachs
International |
Gala Group Finance | Sell | 4.15 | 03/20/13 | | 5,000 | 0 | (989,601 | ) | |||||||||||
Goldman Sachs
International |
Grohe Holding GMBH | Sell | 4.25 | 12/20/09 | | 10,000 | 0 | (643,216 | ) | |||||||||||
Goldman Sachs
International |
K. Hovnanian Enterprises, Inc. | Sell | 4.69 | 09/20/12 | 5,000 | 0 | (2,157,976 | ) | ||||||||||||
Goldman Sachs
International |
LCDX.N.A.9 | Sell | 2.25 | 06/20/12 | 50,000 | (3,935,000 | ) | (6,425,000 | ) | |||||||||||
Goldman Sachs
International |
LCDX.NA.10 | Sell | 3.25 | 06/20/13 | 40,000 | (875,000 | ) | (4,683,556 | ) | |||||||||||
Goldman Sachs
International |
M-Real Oyj | Sell | 3.45 | 09/20/09 | | 5,000 | 0 | (832,892 | ) | |||||||||||
Goldman Sachs
International |
Peermont Global Limited |
Sell | 3.50 | 09/20/12 | | 5,000 | 0 | (815,308 | ) | |||||||||||
Goldman Sachs
International |
Standard Pacific Corp |
Sell | 4.77 | 09/20/12 | 5,000 | 0 | (578,688 | ) | ||||||||||||
Goldman Sachs
International |
Texas Competitive Electric Holdings Company |
Sell | 2.85 | 06/20/10 | 5,000 | 0 | (140,069 | ) | ||||||||||||
Goldman Sachs
International |
UPC Holding | Sell | 3.45 | 09/20/12 | | 5,000 | 0 | (576,190 | ) | |||||||||||
UBS AG |
CDX.NA.HY.9 | Sell | 3.75 | 12/20/12 | 19,400 | (762,885 | ) | (3,262,229 | ) | |||||||||||
UBS AG |
CDX.NA.HY.10 | Sell | 5.00 | 06/20/13 | 20,000 | (1,046,875 | ) | (3,018,348 | ) | |||||||||||
UBS AG |
Rank Group Finance | Sell | 4.25 | 12/20/12 | | 10,000 | 0 | (1,387,869 | ) | |||||||||||
Total Credit Default Swaps |
$ | (8,445,250 | ) | $ | (40,778,720 | ) | ||||||||||||||
Swap Collateral Pledged to Counterparty | ||||||||||||||||||||
Goldman Sachs International | 21,780,000 | |||||||||||||||||||
Bank of America | 3,894,500 | |||||||||||||||||||
UBS AG | 2,200,000 | |||||||||||||||||||
Citi Global Markets | 2,163,500 | |||||||||||||||||||
Credit Suisse | 1,868,000 | |||||||||||||||||||
Deutsche Bank AG | 1,464,000 | |||||||||||||||||||
Total Swap Collateral Pledged | $ | 33,370,000 | ||||||||||||||||||
Total Swap Agreements | $ | (7,408,720 | ) | |||||||||||||||||
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
In Exchange for | Current Value | Depreciation | ||||||||||
Long Contracts: |
||||||||||||
Euro |
||||||||||||
3,651,305 expiring 01/16/09 |
US $ | $ | 4,645,474 | $ | (702,593 | ) | ||||||
429,142 expiring 01/16/09 |
US $ | 545,988 | (81,246 | ) | ||||||||
11,421,435 expiring 01/16/09 |
US $ | 14,531,236 | (1,549,002 | ) | ||||||||
2,909,763 expiring 01/16/09 |
US $ | 3,702,026 | (261,944 | ) | ||||||||
22,934,916 expiring 01/16/09 |
US $ | 29,179,580 | (1,850,444 | ) | ||||||||
6,331,840 expiring 01/16/09 |
US $ | 8,055,858 | (603,566 | ) | ||||||||
3,776,641 expiring 01/16/09 |
US $ | 4,804,936 | (264,449 | ) | ||||||||
19,011,264 expiring 01/16/09 |
US $ | 24,187,606 | 366,492 | |||||||||
(4,946,752 | ) | |||||||||||
Pound Sterling |
Unrealized | ||||||||||||
Appreciation/ | ||||||||||||
In Exchange for | Current Value | Depreciation | ||||||||||
95,390 expiring 01/16/09 |
US $ | 152,929 | (21,816 | ) | ||||||||
317,028 expiring 01/16/09 |
US $ | 508,259 | (57,065 | ) | ||||||||
457,405 expiring 01/16/09 |
US $ | 733,312 | 19,028 | |||||||||
(59,853 | ) | |||||||||||
Swedish Krona |
||||||||||||
27,578,131 expiring 01/16/09 |
US $ | 3,549,086 | (602,996 | ) | ||||||||
Total Long Contracts |
(5,609,601 | ) | ||||||||||
Short Contracts: |
||||||||||||
Euro |
||||||||||||
315,836,007 expiring 01/16/09 |
US $ | 401,831,082 | 60,821,293 | |||||||||
3,188,775 expiring 01/16/09 |
US $ | 4,057,007 | 172,903 | |||||||||
60,994,196 | ||||||||||||
Pound Sterling |
||||||||||||
2,303,430 expiring 01/16/09 |
US $ | 3,692,859 | 557,660 | |||||||||
Swedish Krona |
||||||||||||
27,578,131 expiring 01/16/09 |
US $ | 3,549,086 | 622,403 | |||||||||
Total Short Contracts |
62,174,259 | |||||||||||
Total Forward Foreign Currency Contracts |
$ | 56,564,658 | ||||||||||
Percentage of | ||||||||
Long-Term | ||||||||
Country | Value | Investments | ||||||
United States |
753,244,139 | 68.6 | % | |||||
Germany |
113,486,735 | 10.3 | ||||||
Sweden |
38,187,732 | 3.5 | ||||||
United Kingdom |
30,967,496 | 2.8 | ||||||
Luxembourg |
24,992,548 | 2.3 | ||||||
Ireland |
21,958,116 | 2.0 | ||||||
Greece |
21,030,056 | 1.9 | ||||||
Belgium |
18,685,667 | 1.7 | ||||||
Netherlands |
17,119,071 | 1.6 | ||||||
Australia |
16,905,000 | 1.5 | ||||||
Canada |
11,541,313 | 1.1 | ||||||
Bulgaria |
10,515,033 | 1.0 | ||||||
Hungary |
10,017,024 | 0.9 | ||||||
Cayman Islands |
5,776,664 | 0.5 | ||||||
Spain |
2,909,092 | 0.3 | ||||||
$ | 1,097,335,686 | 100.0 | % | |||||
Ratings Allocation as of 10/31/08 |
||||
BBB/Baa |
1.1 | % | ||
BB/Ba |
24.1 | % | ||
B/B |
38.5 | % | ||
CCC/Caa |
10.1 | % | ||
CC/Ca |
0.2 | % | ||
Non-Rated |
26.0 | % |
| Level 1 quoted prices in active markets for identical investments | ||
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | ||
| Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
Investments in | Other Financial |
||||||
Valuation Inputs | Securities | Investments* | |||||
Level 1 Quoted Prices |
$ | -0- | $ | -0- | |||
Level 2 Other Significant
Observable Inputs |
1,079,438,406 | 15,785,938 | |||||
Level 3 Significant
Unobservable Inputs |
30,570,232 | -0- | |||||
Total |
$ | 1,110,008,638 | $ | 15,785,938 | |||
* | Other financial instruments include futures, forwards and swap contracts |
Investments in | ||||
Securities | ||||
Balance as
of 7/31/08 |
$ | 44,103,871 | ||
Accrued
discounts/premiums |
6,976 | |||
Realized
gain/loss |
(163,563 | ) | ||
Change in
unrealized appreciation/depreciation |
(9,869,737 | ) | ||
Net
purchases/sales |
(3,507,321 | ) | ||
Net transfers in and/or out of Level 3 |
-0- | |||
Balance as
of 10/31/08 |
$ | 30,570,226 | ||
Net change
in unrealized appreciation/depreciation from investments still held as
of 10/31/08 |
$ | -0- |
By:
|
/s/ Edward C. Wood III | |||
Name:
|
||||
Title:
|
Principal Executive Officer | |||
Date:
|
December 17, 2008 |
By:
|
/s/ Edward C. Wood III | |||
Name:
|
||||
Title:
|
Principal Executive Officer | |||
Date:
|
December 17, 2008 | |||
By:
|
/s/ Stuart N. Schuldt | |||
Name:
|
||||
Title:
|
Principal Financial Officer | |||
Date:
|
December 17, 2008 |